A Victorian construction worker moved from the upper storey of a building to escape high winds and then died when a wall collapsed on him on Monday morning.

A 30-year-old Tooradin man was killed when a partially built brick wall at the rear of a garage in Brighton East collapsed during strong winds.

A co-worker tried to free him but he died as paramedics arrived.

Detective Sergeant Gerry Richardson said the two workers decided not to work on the upper storey because of the high winds.

“They came down from the upper-storey level that they were working on and they decided it would be safer to work on the rear of the construction site,” Richardson said on Monday.

“They moved from the upper-storey level to the rear of the premises because of the wind. They moved to the back where they could do other work, for safety reasons.”

He said police would investigate how a strong gust toppled the partially constructed wall.

“It appears ... a strong wind gust has come through at this time and blown the brick wall down,” he said. “We've got to look at how the wall was braced in regards to that, whether that was part of the factor of why the wall collapsed.”

The men were working on two double-storey units when the wall fell just before 9.30am.

A neighbour, Leala Sawicki, said she was lying in bed when she heard the wall collapse but thought it was just normal sounds from the building site.

“I heard a really loud bang. I didn't think anything because I'd been hearing noises all the time,” Sawicki said. “By the time I got up, [the emergency services] were already here.”

Sawicki said she saw her neighbour trying to talk to the man but he didn't seem to be responding: “He looked terrible.”

The Victorian WorkCover Authority said it was investigating.

The CFMEU state secretary, John Setka, said the accident was a tragedy and his thoughts were with the dead man's family.

“Today's fatality is another terrible reminder of the dangers building workers face every day,” he said.